Past exam of the numerical analysis course of the University of Oxford / 2014 / 1 / c / Solution

Set $A^{(0)}=A$. At step $k=1,\dots ,n-2$, let $u=A_{k+1:n,k}^{(k-1)}$ be the column below the diagonal. Choose a Householder reflection ${\hat{H}}_k$ sending $u$ onto its first coordinate axis, and embed it asIf $u=0$, use $P_k=I$. Left multiplication annihilates entries $k+2,\dots ,n$ in column $k$. Right multiplication performs the matching operation on row $k$, because the matrix remains symmetric. The first $k$ coordinates are fixed, so zeros already created in earlier columns and rows are preserved.

Here the orthogonality of each $P_k$ is used explicitly: $P_k^{-1}=P_k^T$, so each update is a similarity transformation and preserves eigenvalues. After $n-2$ steps,where $Q$ is orthogonal and $T$ is a real symmetric tridiagonal matrix. This is Householder tridiagonalization.